Capturing non-exchangeable dependence in multivariate loss...

Annals of Actuarial Science 2016 / 03 Vol. 10; Iss. 1

Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas

Avanzi, Benjamin, Tao, Jamie, Wong, Bernard, Yang, Xinda
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Volume:
10
Language:
english
Journal:
Annals of Actuarial Science
DOI:
10.1017/s1748499515000135
Date:
March, 2016
File:
PDF, 2.42 MB
english, 2016
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